Updated on 2024/10/18

写真a

 
MURAI Joshin
 
Organization
Faculty of Humanities and Social Sciences Professor
Position
Professor
External link

Degree

  • 博士(理学) ( 大阪大学 )

Research Interests

  • Econophysics

  • Probability Theory

  • 経済物理学

  • 確率論

Research Areas

  • Natural Science / Applied mathematics and statistics

  • Social Infrastructure (Civil Engineering, Architecture, Disaster Prevention) / Safety engineering

  • Social Infrastructure (Civil Engineering, Architecture, Disaster Prevention) / Social systems engineering

  • Natural Science / Basic mathematics

Education

  • Osaka University   理学研究科   数学

    - 1997

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    Country: Japan

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  • Osaka University   理学部   数学科

    - 1990

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    Country: Japan

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Research History

  • - Professor,Graduate School of Humanities and Social Sciences,Okayama University

    2012

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  • - 岡山大学社会文化科学研究科 教授

    2012

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  • Associate Professor,Graduate School of Humanities and Social Sciences,Okayama University

    2004 - 2012

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  • 岡山大学社会文化科学研究科 准教授

    2004 - 2012

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Professional Memberships

 

Papers

  • Multiplicative random cascades with additional stochastic process in financial markets Reviewed

    Jun-ichi Maskawa, Koji Kuroda, Joshin Murai

    Evolutionary and Institutional Economics Review   15 ( 2 )   515 - 529   2018.12

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    Publishing type:Research paper (scientific journal)   Publisher:Springer Science and Business Media LLC  

    DOI: 10.1007/s40844-018-0112-y

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    Other Link: http://link.springer.com/content/pdf/10.1007/s40844-018-0112-y.pdf

  • A model of transaction signs with order splitting and public information Reviewed

    Joshin Murai

    Evolutionary and Institutional Economics Review   13 ( 2 )   469 - 480   2016.12

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    Publishing type:Research paper (scientific journal)   Publisher:Springer Science and Business Media LLC  

    DOI: 10.1007/s40844-016-0050-5

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    Other Link: http://link.springer.com/article/10.1007/s40844-016-0050-5/fulltext.html

  • 公開情報と取引符号

    村井浄信

    The Institute of Statistical Mathematics Cooperative Research Report   360   116 - 125   2016

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  • 公開情報への反応関数をもつポリマーモデルにおける大数の強法則

    村井浄信

    岡山大学経済学会雑誌   47 ( 2 )   117 - 128   2016

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  • Signs of market orders and human dynamics Reviewed

    Joshin Murai

    Proceedings of the International Conference on Social Modeling and Simulation, plus Econophysics Colloquium 2014   39 - 50   2015

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  • 取引間隔の多様なベキ指数と取引符号のハースト指数

    村井浄信

    The Institute of Statistical Mathematics Cooperative Research Report   332   97 - 102   2015

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  • Application of the Cluster Expansion to a Mathematical Model of the Long Memory Phenomenon in a Financial Market Reviewed

    Koji Kuroda, Jun-ichi Maskawa, Joshin Murai

    JOURNAL OF STATISTICAL PHYSICS   152 ( 4 )   706 - 723   2013.8

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:SPRINGER  

    Empirical studies of the high frequency data in stock markets show that the time series of trade signs or signed volumes has a long memory property.
    In this paper, we present a discrete time stochastic process for polymer model which describes trader's trading strategy, and show that a scale limit of the process converges to superposition of fractional Brownian motions with Hurst exponents and Brownian motion, provided that the index gamma of the time scale about the trader's investment strategy coincides with the index delta of the interaction range in the discrete time process. The main tool for the investigation is the method of cluster expansion developed in the mathematical study of statistical mechanics.

    DOI: 10.1007/s10955-013-0783-z

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  • Market-wide price co-movement around crashes in Tokyo stock exchange Reviewed

    J.Maskawa, J.Murai, K.Kuroda

    Evolutionary and Institutional Economic Review   10 ( 1 )   81 - 92   2013

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    Language:English   Publisher:JAPAN ASSOCIATION FOR EVOLUTIONARY ECONOMICS  

    As described in this paper, we study market-wide price co-movements around crashes by analyzing a dataset of high-frequency stock returns of the constituent issues of Nikkei 225 Index listed on the Tokyo Stock Exchange for the three years during 2007–2009. Results of day-to-day principal component analysis of the time series sampled at the 1 min time interval during the continuous auction of the daytime reveal the long range up to a couple of months significant auto-correlation of the maximum eigenvalue of the correlation matrix, which express the intensity of market-wide co-movement of stock prices. It also strongly correlates with the open-to-close intraday return and daily return of Nikkei 225 Index. We also study the market mode, which is the first principal component corresponding to the maximum eigenvalue, in the framework of Multi-fractal random walk model. The parameter of the model estimated in a sliding time window, which describes the covariance of the logarithm of the stochastic volatility, grows before almost all large intraday price declines of less than −5%. This phenomenon signifies the upwelling of the market-wide collective behavior before the crash, which might reflect a herding of market participants.

    DOI: 10.14441/eier.A2013005

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  • Long Memory in Trade Signs and Short Memory in Stock Prices Reviewed

    Koji Kuroda, Jun-ichi Maskawa, Joshin Murai

    PROGRESS OF THEORETICAL PHYSICS SUPPLEMENT   194 ( 194 )   11 - 27   2012

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:PROGRESS THEORETICAL PHYSICS PUBLICATION OFFICE  

    We consider a mathematical model for stock markets and derive a signed volume process having a long memory property and a stock price process having a short memory property. Using the method of cluster expansion developed in the study of phase transitions, we describe our results about scale limits of the processes by using Brownian motion and fractional Brownian motion, which is known as a stochastic process having a long memory property.

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  • Stock price process and long memory in trade signs Reviewed

    Koji Kuroda, Jun-ichi Maskawa, Joshin Murai

    ADVANCES IN MATHEMATICAL ECONOMICS, VOL 14   14   69 - +   2011

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    Language:English   Publishing type:Research paper (international conference proceedings)   Publisher:SPRINGER-VERLAG TOKYO  

    Empirical study on tick by tick data in stock markets shows us that there exists a long memory in trade signs and signed trade volumes. This means that an order flow is a highly autocorrelated long memory process.
    We present a mathematical model of trade signs and trade volumes in which traders decompose their orders into small pieces. We prove that fractional Brownian motions are obtained as a scaling limit of the signed volume process induced by the model.

    DOI: 10.1007/978-4-431-53883-7_4

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  • 株価変動過程と売買符号のLong Memory

    黒田耕嗣, 増川純一, 村井浄信

    物性研究   93 ( 5 )   633 - 636   2010

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  • Stock price process and long memory in trade sign

    K.Kuroda, J.Murai

    統計数理研究所共同研究リポート   247   59 - 76   2009

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  • Graphs for Menshikov-Zuev's Problems on ρ-percolation model

    J.Murai

    岡山大学経済学会雑誌   40 ( 4 )   115 - 125   2009

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  • Long Memory in Finance and Fractional Brownian Motion Reviewed

    Koji Kuroda, Joshin Murai

    PROGRESS OF THEORETICAL PHYSICS SUPPLEMENT   ( 179 )   26 - 37   2009

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:PROGRESS THEORETICAL PHYSICS PUBLICATION OFFICE  

    We present a mathematical model of the trade signs and trade volumes, and derive a fractional Brownian motion as a scaling limit of the signed volume process which describes a super-diffusive nature. In our model, we assume that traders place a market order at a single time or divide their order into two chunks and place orders at different times. When they divide their order into two chunks, the probability distribution of the time lag t of divided orders is assumed to decay as an inverse power law of t with exponent alpha.
    We obtain three types of scaling limit of the signed volume process according to the three cases of the value of alpha, (i) alpha < 1, (ii) alpha = 1, and (iii) alpha > 1. (See Theorem 4.1.) We prove that a fractional Brownian motion having a super diffusive nature is obtained in a scaling limit of a signed volume process if and only if alpha < 1.

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  • 符号相関についての数学モデル

    黒田耕嗣, 村井浄信

    The Institute of Statistical Mathematics Cooperative Research Report 209, Econophysics and its Applications   ( 4 )   87 - 95   2008

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  • Fat tail phenomena in a stochastic model of stock market : the long-range percolation approach

    Kuroda Koji

    39 ( 4 )   151 - 176   2008

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  • A probabilistic model on the long memory property in stock market

    K.Kuroda, J.Murai

    Internaional conference 2008 in Okayama, Rising Economies and Regional Cooperation in the East Asia and Europe   1 - 20   2008

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  • Limit theorems in financial market models Reviewed

    Koji Kuroda, Joshin Murai

    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS   383 ( 1 )   28 - 34   2007.9

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:ELSEVIER SCIENCE BV  

    DOI: 10.1016/j.physa.2007.04.084

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  • Wulff shape and stock price process

    K.Kuroda, J.Murai

    Econophysics and its applications (2), The institute of statistical mathematics cooperative research report   2006

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  • Application of statistical mechanics to stock price processes

    黒田耕嗣, 村井浄信

    Proceedings of the First Sapporo Workshop on Financial Engineering and Its Applications   2005

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  • The Dobrushin-Hryniv theory for the two-dimensional latttice Widom-Rowlinson model Reviewed

    Y. Higuchi, J. Murai, J. Wang

    Adv. Stud. Pure Math.   2004

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  • Fluctuations of shapes for small area conditions

    樋口保成, 村井浄信, 王軍

    日本数学会2003年度秋季総合分科会統計数学分科会予稿集   2003

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  • 相分離クラスタの確率過程

    村井浄信

    電子情報通信学会誌   2002

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  • Critical probabilities on r-percolation model

    村井浄信

    平成10年度〜平成12年度科学研究費補助金(基盤研究(B)(2))研究成果報告書『フラクタル上の解析学の展開』(課題番号10440029)   2001

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  • The central limit theorem of the Dobrushin-Hryniv type for the phase separation line of the Widom-Rowlinson model

    Y. Higuchi, J. Wang, Joushin Murai

    科研費シンポジウム「流体力学極限とその周辺」予稿集   2001

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  • Glauber-type dynamicsのシミュレーションについて

    村井浄信

    平成9年度〜平成11年度科学研究費補助金(基盤研究(B)(2))研究成果報告書『ランダム系の臨界現象の解析』(課題番号09440079)   2000

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  • 密度付きパーコレーションモデルにおける臨界確率の評価について

    村井浄信

    平成9年度〜平成11年度科学研究費補助金(基盤研究(B)(2))研究成果報告書『ランダム系の臨界現象の解析』(課題番号09440079)   2000

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  • A gap between the rho-percolation threshold and percolation threshold.

    Joushin MURAI

    科研費研究集会「臨界現象の確率モデルとその周辺」予稿集   1998

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  • Percolation in high dimensional menger sponges Reviewed

    Joushin Murai

    Kobe journal of mathematics   14 ( 1 )   49 - 61   1997

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    Language:English   Publisher:Kobe University  

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  • Diffusion processes on Mandala Reviewed

    J Murai

    OSAKA JOURNAL OF MATHEMATICS   32 ( 4 )   887 - 917   1995.12

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    Language:English   Publishing type:Research paper (scientific journal)   Publisher:OSAKA JOURNAL OF MATHEMATICS  

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Books

  • 株式市場のマルチフラクタル解析

    黒田, 耕嗣, 増川, 純一, 村井, 浄信

    日本評論社  2021.4  ( ISBN:9784535789050

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    Total pages:x, 284p   Language:Japanese

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  • 株価の経済物理学

    培風館  2011 

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  • Econophysics and stock price

    BAIFUKAN CO., LTD  2011 

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  • ファイナンス・保険数理の現代的課題

    日本大学文理学部  2008 

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  • フラクタル幾何学

    共立出版  2006 

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MISC

  • Stock price process and the long-range percolation Reviewed

    K.Kuroda, J.Murai

    Practical Fruits of Econophysics   2005

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  • Stock price process and the long-range percolation.

    黒田耕嗣, 村井浄信

    数理解析研究所講究録   2004

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  • Stock price process and the long-range percolation

    黒田耕嗣, 村井浄信

    共同研究集会「経済の数理解析」予稿集   2003

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Presentations

  • 注文分割と公開情報による取引符号モデル

    経済物理とその周辺  2016 

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  • 公開情報と取引符号

    経済物理とその周辺  2015 

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  • 公開情報への反応関数をもつポリマーモデルにおけるトレンド項

    無限粒子系、確率場の諸問題XI  2015 

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  • 注文分割と公開情報による取引符号モデル

    経済物理学 2015: 新たな方向性を求めて  2015 

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  • Order signs model with order splitting and exogenous herding

    International Conference on Big data in Economics, Science and Technology  2015 

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  • A model of order signs under multiple order splitting and public information

    ECONOPHYS-2015  2015 

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  • Signs of market orders and human dynamics

    経済物理学とその周辺  2014 

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  • Signs of market orders and human dynamics

    Social Modeling and Simulations + Econophysics Colloquium 2014  2014 

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  • 無限分割ポリマーモデルのスケール極限

    Okayama Analysis and Probability Seminar  2014 

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  • Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market

    新潟確率論ワークショップ  2013 

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  • Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market

    2013 

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  • Application of the cluster expansion for financial market

    無限粒子系、確率場の諸問題VII  2011 

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  • 金融市場における余震の数理モデル

    経済物理とその周辺  2011 

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  • FinanceにおけるLong Memory Process

    無限粒子系、確率場の諸問題VI  2011 

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  • A probabilistic model on the long memory property in stock market

    Rising Economies and Regional Cooperation in the East Asia and Europe  2008 

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  • Long Memory in Finance

    無限粒子系、確率場の諸問題III  2008 

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  • 符号相関についての数学モデル

    平成19年度統数研研究会「経済物理とその周辺」第1回研究会  2007 

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  • Limit theorems in financial market models

    Econophysics Colloquium 2006  2006 

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  • 株価変動過程への統計力学的アプローチ

    平成17年度統数研研究会「経済物理とその周辺」第2回研究会  2006 

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  • 株式市場モデルへのDobrushin-Hryniv理論の応用

    平成17年度統数研研究会「経済物理とその周辺」第1回研究会  2005 

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  • Application of statistical mechanics to stock price processes

    金融工学2004科研費研究集会  2005 

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  • Stock price process and the long-range percolation

    第3回日経エコノフィジックス・シンポジウム  2004 

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  • Toward the Dobrushin-Hryniv theorem for a Pirogov-Sinai type symmetric model

    Infinite Particle Systems and Critical Phenomena  2004 

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  • Stock price process and the long-range percolation

    共同研究集会「経済の数理解析」  2003 

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  • Stock price process and the long-range percolation

    科研費シンポジウム「パーコレーション,無限粒子系とその周辺」  2003 

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  • Fluctuations of shapes for small area conditions

    日本数学会2003年度秋季総合分科会統計数学分科会  2003 

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  • The central limit theorem of the Dobrushin-Hryniv type for the phase separation line of the Widom-Rowlinson model

    科研費シンポジウム「流体力学極限とその周辺」  2001 

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  • The central limit theorem of the Dobrushin-Hryniv type for the phase separation line of the Widom-Rowlinson model.

    科研費シンポジウム「流体力学極限とその周辺」  2001 

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  • The central limit theorem of the Dobrushin-Hryniv type for the phase separation line of the Widom-Rowlinson model.

    流体力学極限とその周辺  2001 

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  • 2次元Widom-Rowlinsonモデルの相分離クラスターの中心極限定理

    日本数学会2001年度秋季総合分科会統計数学分科会  2001 

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  • ρパーコレーションにおける臨界確率について

    九州大学確率論セミナー  1999 

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  • \rho-percolation

    大阪大学高橋研究室セミナー  1999 

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  • \rho-percolation

    高橋研究室セミナー  1999 

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  • Critical probabilities on r-percolation model

    共同研究集会、「フラクタル上の解析学と幾何学の相互作用」  1999 

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  • Critical probabilities on r-percolation model.

    フラクタル上の解析学と幾何学の相互作用  1999 

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Research Projects

  • 自己励起型ポリマーモデルによる株式市場の時間相関の研究

    Grant number:18K04612  2018.04 - 2023.03

    日本学術振興会  科学研究費助成事業  基盤研究(C)

    村井 浄信

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    Grant amount:\4160000 ( Direct expense: \3200000 、 Indirect expense:\960000 )

    株式市場では,秒単位あるいはそれ以下の極めて短いタイムスパンで取引が行われている。それら全てを記録した高頻度な取引データの解析から,次々と新たな知見が得られている。従来の日次データ(日毎の4本値データ)の解析を通して見えていた市場の姿とは大きく異なる,本来の市場の姿と呼ぶべきものが,このビッグ・データ解析を通して観察できるようになった。本研究は,市場のその新たな姿を理論的に理解することを試みるものである。ミクロな個々の市場参加者は違いに影響を与え合いながら投資行動を行い,それらが集積することによって,マクロな市場の動きが形作られていく。ここでは,ミクロな相互作用の集積を上手に取り扱うことができる統計力学の手法を用いて,理論モデルを構築する。具体的には,個々の市場参加者の投資行動を離散時間をベースとするポリマーで表現し,ポリマーの集まりによって,離散時間の確率過程を定義する。そして,統計力学のクラスター展開の手法を用いることで,連続時間の確率過程を構築し,それが実際に市場で観察されている現象を再現することを確かめる。本年度は株式市場における対数収益率の時系列データが持つマルチフラクタル性をタイムスケールの異なる市場参加者間の相互作用で説明を試みる理論研究について,この数年間の研究を整理する作業を行った。その成果を『株式市場のマルチフラクタル解析』という本(共著)にまとめ,2021年に刊行した。

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  • Statistical mechanical study of stochastic models for time correlation in stock markets

    Grant number:15K01190  2015.04 - 2019.03

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (C)

    Murai Joshin, Kuroda Koji, Maskawa Jun-ichi

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    Grant amount:\4160000 ( Direct expense: \3200000 、 Indirect expense:\960000 )

    By analyzing huge high frequency data in stock market, phenomena that can not be observed in daily data are discovered one after another. In this study, we have theoretically studied the causes of long-term memory of the transaction signs among those phenomena, using statistical mechanics methods. Based on the hypothesis that the origin is in the divided orders of potential orders by individual investors, we define a discrete time stochastic process that represents the cumulative transaction signs, and use the method of the cluster expansion of statistical mechanics to obtain a continuous time stochastic processes as its scale limit. It is shown that the time stochastic process is the superposition of Brownian motion and multiple fractional Brownian motions with different Hurst exponents.

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  • Empirical study and construction of stochastic processes on the long memory property of the time series of trade signs in a stock market.

    Grant number:21510146  2009.04 - 2014.03

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (C)

    MURAI Joshin

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    Grant amount:\3900000 ( Direct expense: \3000000 、 Indirect expense:\900000 )

    We study the influence of the trader's investment strategy on the long memory property of the time series of trade signs in a stock market, using the stochastic process. We present a discrete time stochastic process for polymer model which describes trader's trading strategy to split his or her order into small pieces, and prove that its scaled process converges to superposition of multiple fractional Brownian motions with different Hurst exponents and a standard Brownian motion. We also show that their Hurst exponents are derived from the distribution of the time interval of split orders.

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  • Study of asymptotic theory for representations of symmetric groups from the viewpoint of scaling limits for probability models

    Grant number:16540154  2004 - 2006

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (C)

    HORA Akihito, YAMADA Hiro-Fumi, MURAI Joshin, SASAKI Toru

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    Grant amount:\3600000 ( Direct expense: \3600000 )

    The main purpose of the present research is to study asymptotic behavior of various characteristic quantities of representations of symmetric groups and other similar discrete groups as the sizes of the groups grow, and to investigate the limiting pictures from the viewpoint of scaling limits in probability theory and statistical mechanics. Features to be noted in this research include using methods of limit theorems in quantum probability and making much of relations to free probability and random matrices. The following are several concrete results.
    1. We studied the spectral distributions of Laplacians with respect to the Gibbs states in zero temperature and infinite volume limit as graphs grow with their degrees and temperatures keeping certain scaling balances. We computed the asymptotic behavior in details under the formulation of quantum central limit theorem by using creation and annihilation operators on interacting Fock spaces.
    2. Through combinatorial hard analysis of moments of the Jucys-Murphy element, we studied universal understanding of concentration phenomena in various statistical ensembles consisting of Young diagrams, including those which come from irreducible decomposition of a representation of the symmetric group such as the Littlewood-Richardson coefficients. Many of them are closely related to some properties of random walks on a certain modified Young graph. Here also we applied methods of quantum probability effectively.
    3. Under cooperation with T. Hirai and E. Hirai, we constructed a nice factor representation which expresses any character of a wreath product of a compact group with the infinite symmetric group as its matrix element. This representation reflects directly the characterizing parameters for the character beyond a general representation of Gelfand-Raikov.

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  • Research of fluctuations of phase boundaries in large interacting systems from the probabilistic point of view

    Grant number:15340032  2003 - 2006

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (B)

    HIGUCHI Yasunari, FUKUYAMA Katusi, ADACHI Tadayoshi, WATANABE Kiyoshi, YOSHIDA Nobuo, MURAI Joshin

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    Grant amount:\15300000 ( Direct expense: \15300000 )

    The main aim of this research is to understand the fluctuation of phase boundaries appearing in many mathematical models of phase transitions from the probabilistic view point. Essentially, we could do it only for the Widom-Rowlinson model in two dimensions as a conditional central limit theorem for phase boundaries. However, this type of phenomenon is now well understood during these four years by the works of Ioffe, Bodineau and others. There still remains to be understood related to this problem but we understand that the main problem is solved.
    Our second aim was to understand the transition mechanism in percolation when the underlying graph has no translations which act as group of automorphisms of the underlying graph. A typical problem is in the case where the graph has infinitely ramified fractal structure. As an example, percolation in the Sierpinski carpet lattice has not been understood well. We could prove that percolation is sharp for this model. This has been open since 1997. The sharpness of the percolation transition is understood as
    1.there is only one critical point
    2.below the critical point, the connectivity function decays exponentially
    3. above the critical point, the infinite cluster is unique and the dual connectivity decays exponentially with respect to the dual graph distance.

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  • Harmonic analysis on graphs and discrete groups, and scaling limit for probability models

    Grant number:13640175  2001 - 2003

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (C)

    HORA Akihito, MURAI Joshin, SASAKI Toru

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    Grant amount:\3500000 ( Direct expense: \3500000 )

    The aim of this project is to read out statistical properties of huge systems characterized by a certain symmetry from the viewpoint of asymptotic spectral analysis and scaling limits by using the methods of harmonic analysis and representation theory. We obtained concrete results as follows.
    1. We computed scaling limits for the spectral distributions of adjacency operators on graphs in the framework of quantum central limit theorem. We introduced Gibbs states as well as vacuum states on distance-regular graphs and investigated the limit picture in low temperature and high degrees especially for Johnson graphs. The result is described in terms of the interacting Fock space associated with Meixner polynomials. Interesting distributions are derived in the limit by using combinatorial structure of creators and annihilators.
    2. We established a general theory for spectral analysis of graphs by the method of quantum decomposition. We revealed a connection of asymptotic characteristic values of regular graphs with the parameters of interacting Fock spaces. The limit distributions are systematically described by using methods of orthogonal polynomials and Green functions beyond computation of individual spectral limits. The item here is closely related to a joint work with Nobuaki Obata at Tohoku University.
    3. We obtained an extension (a quantization) of Kerov's central limit theorem for irreducible characters and the Plancherel measure as an asymptotic aspect of representations of the symmetric groups. Since the result goes out of the framework of interacting Fock spaces, we introduced a modification of the usual Young graph as well as creators and annihilators on it.

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  • Research on the formation and fluctuation of random shapes in mathematical models of statistical mechanics

    Grant number:12440027  2000 - 2002

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (B)

    HIGUCHI Yasunari, NAKANISHI Yasutaka, MIYAKAWA Tetsuro, FUKUYAMA Katsushi, MURAI Joushin, YAMAZAKI Tadashi

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    Grant amount:\10100000 ( Direct expense: \10100000 )

    1. We found a new proof of the fact that there are only two extremal Gibbs states for the two dimensional Ising model based on the percolation argument. As an application of this new method, we proved that there are only two extremal points of translationally invariant Gibbs states for the two dimensional Widom-Rowlinson model for sufficiently low temperatures.
    2. We gave an estimate of the speed of convergence for the time constant of the first passage Ising percolation for temperatures above the critical point.
    3. We proved a Dobrushin-Hryniv type limit theorem for the two-dimensional Widom-Rowlinson model. The conditions for the result to hold are a little relaxed.

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  • Harmonic analysis on discrete structures and its applications to classical and quantum probability models

    Grant number:11640168  1999 - 2000

    Japan Society for the Promotion of Science  Grants-in-Aid for Scientific Research  Grant-in-Aid for Scientific Research (C)

    HORA Akihito, MURAI Joshin, SASAKI Toru, HIROKAWA Masao

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    Grant amount:\2900000 ( Direct expense: \2900000 )

    We studied asymptotic behavior of probability models by using the methods of harmonic analysis. Main results are included in 1. the cut-off phenomenon in random walks and 2. central limit theorems in algebraic probability.
    1. The cut-off phenomenon is a sort of critical phenomenon widely observed in the process of convergence to the equilibrium for Markov chains. It is known that the multiplicities of eigenvalues of a transition matrix, which are caused by symmetry of the system, play an important role. In this project, we seeked a rigorous and practical criterion for the cut-off phenomenon beyond verification in individual models and intuitive understanding based on the degeneration of the second eigenvalue. Focusing on distance-regular graphs, we obtained a criterion described in terms of spectral data of the graph. This enables us to find models of the cut-off phenomenon systematically.
    2. Quantum central limit theorems form a main stream in algebraic probability. In this project, we studied important relations between independence of noncommutative random variables and central limit theorems, making much of their algebraic and combinatorial aspects. As a concrete result, we mention the asymptotic spectral distribution of the Laplacian operator on a Johnson graph with respect to the Gibbs state under a low temperature and infinite volume limit. This result leads us to the consideration of creators and annihilators on a nontrivial interacting Fock space and hence gives a good working example in this direction.

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  • スピングラスの確立論的研究

    Grant number:10874017  1998 - 1999

    日本学術振興会  科学研究費助成事業  萌芽的研究

    日野 正訓, 南 和彦, 吉田 伸生, 熊谷 隆, 村井 浄信

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    Grant amount:\2000000 ( Direct expense: \2000000 )

    本年度もセミナーや研究会を通じて、スピン系等の数理モデルの性質を中心に最新のプレプリントの紹介、各自の研究の報告・議論を行ったが、スピングラスのモデル自体について大きな進展を得ることは残念ながら出来なかった。以下では、セミナー等で得られた、このテーマに関連した問題に関する実績概要を述べる。
    1.吉田は、wetting tansitionの問題に興味を持ち、E.BolthausenやP.Caputoらのプレプリントを読むとともに具体的な計算を行った。Wetting transitionの問題とは、固形物の上に液体がありpinningとentropy repulsionという対立する力がかかるとき、そのinterfaceの局在(dry phase)・非局在(wet phase)がどのようなときに起こるかという問題である。吉田は、非負に条件付けられた一次元のランダムウォークにpinningとしてdiluted local timeを与えたとき、pinningの係数が小さければ非局在、大きければ局在が起こることを示した。
    2.熊谷は、フラクタルのような複雑な形の不純物が空間内に存在するときに、空間からこの物質内への熱伝導はどのようになるかという問題を扱い、実解析で用いられるBesov空間の理論を援用することによりある条件のもとでこのような熱伝導を表す拡散過程(物質内ではその物質の拡散をし、外では空間の拡散に従うようなもの)が構成できることを示した。この結果は、最近雑誌に掲載された。
    3.村井は篠田氏(奈良女)との議論を通じて、ある範疇の自己相似なグラフ上ではρ-パーコレーションのρ→1における相転移点と普通のパーコレーションの相転移点が一致することを示し、現在論文を執筆中である。

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